1 files changed, 44 insertions, 0 deletions
diff --git a/R/tranches_RV_BC.R b/R/tranches_RV_BC.R
new file mode 100644
index 00000000..9a95256f
--- /dev/null
+++ b/R/tranches_RV_BC.R
@@ -0,0 +1,44 @@
+if(.Platform$OS.type == "unix"){
+  root.dir <- "/home/share/CorpCDOs"
+}else{
+  root.dir <- "//WDSENTINEL/share/CorpCDOs"
+}
+
+source(file.path(root.dir, "code", "R", "yieldcurve.R"))
+source(file.path(root.dir, "code", "R", "optimization.R"))
+source(file.path(root.dir, "code", "R", "calibration.R"), chdir=TRUE)
+source(file.path(root.dir, "code", "R", "serenitasdb.R"))
+source(file.path(root.dir, "code", "R", "creditIndex.R"))
+library(lossdistrib)
+
+alldates <- seq(as.Date("2013-10-04"), as.Date("2014-09-02"), by="1 day")
+bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
+
+index.name1 <- "hy21"
+tenor1 <- "3yr"
+index.name2 <- "hy17"
+tenor2 <- "5yr"
+filename <- file.path(root.dir,"Tranche_data","Runs",
+                      paste0(paste(index.name2, tenor2, "using", index.name1, tenor1),".csv"))
+
+for(i in seq_along(bus.dates)){
+    tradedate <- bus.dates[i]
+    index1 <- load.index(index.name1, tenor1, tradedate)
+    index2 <- load.index(index.name2, tenor2, tradedate)
+    tradedate <- bus.dates[i]
+    accrued2 <- cdsAccrued(tradedate, index2$tranches$running)
+    mappedpv <- list()
+    for(method in c("ATM", "TLP", "PM")){
+        index2$rho <- adjust.skew(index1, index2, method)
+        mappedpv[[method]] <- BCtranche.pv(index2)$bp - accrued2
+    }
+    row <- c(as.character(tradedate), index2$tranches$upfront, unlist(mappedpv)*100)
+    if(i==1){
+        headers <- c("date", paste(index2$name, row.names(index2$tranches), "Quotes"),
+                     paste(index2$name, row.names(index2$tranches), "ATM PV"),
+                     paste(index2$name, row.names(index2$tranches), "TLP PV"),
+                     paste(index2$name, row.names(index2$tranches), "PM PV"))
+        cat(paste(headers, collapse=","), "\n", file=filename)
+    }
+    cat(paste(row, collapse=","), "\n", file=filename, append=TRUE)
+}